System and method for analyzing and displaying security trade transactions

ABSTRACT

A system and methods for processing and charting security exchange trading and market information shows security traders if current transactions originated as buy orders ( 810 ) or sell orders ( 812 ), and simultaneously indicates traded quantity. Security exchange trading information is received including price, volume and time of each trade. Market information is also received including bids and offers. The security exchange trading and market information is processed simultaneously and displayed as a continuously updated real-time chart ( 800 ) depicting the exchange auction process. The chart ( 800 ) is formed by plotting each trade at the price traded, and for each plot point shows a distinctive icon indication whether the transaction was initiated by a buyer ( 810 ) or seller ( 812 ).

CROSS REFERENCE TO RELATED APPLICATION

This application is a continuation of U.S. patent application Ser. No.10/517,960 filed Feb. 14, 2004, entitled “System and Method forAnalyzing and Displaying Security Trade Transactions” which is a 371 ofPCT/US03/18436 filed Jun. 11, 2003 which claims the benefit of U.S.Provisional Patent Application No. 60/389,636 filed Jun. 18, 2002, thecontents of which are fully incorporated herein by reference.

FIELD OF THE INVENTION

This application relates to systems and methods for analyzing anddisplaying securities transactions, and more particularly to systems andmethods for displaying the details of securities market transactions andorder books in near real-time so as to provide the user with informationthat closely approximates the quality and quantity of informationavailable to a trader on an exchange floor.

BACKGROUND OF THE INVENTION

A large number of systems have been developed to support securitiestrading by persons who, for one reason or another, are not present atthe floor of an exchange. Early systems delivered information describingtransactions to remote locations by telephony or telegraphy. However,the information reported was typically quite limited, and might include,for example, the symbol, price and quantity of a security transaction.In addition, these systems generally employed manual processes andrelatively slow information transmission media, such that when marketswere busy, transaction reports experienced significant delays, and sometransactions were not reported. As information and telecommunicationstechnologies advanced, subsequent systems have improved the timelinesswith which information has been delivered.

However, even these later systems have proven inadequate in that they donot provide sufficient detail about the transactions and the market, orfail to usefully present such detail, to enable a trader to understandindividual transactions and the trends that streams of such transactionsrepresent, and therefore make rapid, profit-maximizing tradingdecisions.

The basic technique for malting money in securities markets can besummed up in four words: buy low, sell high (or vice-versa for shortsellers). A successful investor is a securities trader who can obtain aprofit while minimizing exposure to the investment risk of losing asignificant amount of capital.

Securities markets are made possible by government authorized andregulated exchanges that bring together buyers and sellers of securitiesin an auction process whereby trading prices are discovered and tradesare executed between the parties. The process of buying and selling ofsecurities occurs at several levels, from the point of origination asindividual investors or professional money management organizations, tobroker/dealers or futures commission merchants (FCM) acting as marketmakers, specialists, agents, and clearing firms, to the exchanges andrelated Electronic Communication Networks (ECN) which serve as the matchmakers to complete the trading auction process.

Investors may choose a shorter or longer period of time to own asecurity, with longer investment periods generally exposing an investorto more risks due to unknown or unforeseen changes in circumstances,including the underlying bases for valuation of an investment. As partof investment decision-making, investors may apply basic investmentstrategies in their effort to try to buy low and sell high: (1)fundamental analysis; (2) technical analysis; or (3) a combination offundamental and technical analysis.

Investors choosing to hold securities for a longer period of time arelikely to use fundamental analysis to determine if the current value ofa security is fair and to assess the future potential for the securityto produce income, or increase in value for a capital gain. Investorschoosing to hold securities for a shorter period of time are likely touse technical analysis to determine if a change in supply or demand willchange the value of a security, thereby allowing the investor to tradethe security for a quick profit.

Technical analysis uses a variety of displays and statisticalcalculations to monitor trading prices and trading volumes, usually forfixed time intervals, to assist investors who try to make profits basedon the short-term swings of the market. Traders who depend on technicalanalysis range from market makers, who are continuously trading andmaking buy and sell orders, to day traders, who try to take advantage ofhourly or daily price changes to make a profit, to slightly longer-terminvestors who track stock price and trading volume fluctuations over aperiod of a few days or weeks and trade on the basis of recent trends.Technical analysis focuses on patterns that appear on the historicalprice charts of a security in the belief that historical price patternsmay repeat, or that recent price trends may help predict the futureprice of a security.

Technical analysis, as generally practiced, is based on a review ofhistorical time series data, such as a series of daily closing pricesfor a security. A number of known statistics have been derived from theprocessing of time series data, and trading systems have been developedto produce and display then. These statistics include moving averages,support and resistance values, stochastic oscillators, along withspecialized quantitative studies such as Bollinger bands, Fibonaccicurves, and candlestick charts. FIG. 1 depicts a candlestick chart 100,which incorporates vertical bars 110 representing cumulative tradingactivity during an interval. The Vertical bars have a thin portion, suchas bar 112, which represents the range of prices during the interval,and a thick portion 114 which may indicate some other information, suchas the direction of price change between the first and last pricereported during the interval. Time series data is also summarilydisplayed in various fixed time intervals, from tens of seconds tominutes, hours, days, months or years. For example, FIG. 2 depicts aline chart 200, on which may be plotted a line 210 showing an aspect ofa security, such as daily closing price, over an extended interval. Foranother example, FIG. 3 depicts a bar chart 300. Each bar, such as 310,represents a range of trading prices over an interval, and additionalmarkings 312, 314, may represent another parameter, such as opening andclosing prices.

Thus, as shown in the examples noted above, most known technicalcharting systems do not plot each transaction, or ‘tick’, but insteadsample and display a representation of price activity at a periodicrate.

Previously, the most active traders, or market makers, conductedtransactions in person on exchange floors, and did not depend oncomputer systems to interact with each other. Traders present on anexchange floor benefit from the ability to observe individualtransactions in a security. In addition, such traders may also observethe number and price of prospective transactions (i.e., bids to purchaseor offers to sell) by other participants. This information is sometimesreferred to as “order book” or “depth of market” information, and canassist a trader in discerning market trends. Traders present on anexchange floor may also observe many visual and auditory cues relatingto the behavior of market participants. The increased use of allelectronic market exchanges, however, is pushing market makers off ofexchange floors and creating a need for new chart displays to representmarket activity for each transaction, or “tick”.

One prior-art approach to displaying transaction-related information isto produce a quotation table reporting, for example, the most recenttransaction. A tick trend indicator, usually a ‘+’, ‘−’, or ‘=’ sign, isprovided to indicate whether the price of the most recent transaction ishigher, lower, or the same as the previous transaction. Several trendindicators may be shown, coarsely depicting the history of trendindicators. However, this table arrangement does not show a history ofindividual transactions in a particular security, and does not representthe transactions in the form of a two-dimensional chart or graph.

Another prior-art approach to displaying transaction-related informationis a conventional “tick chart” which shows price levels of transactionsas a continuously adjusted line. The chart is arranged so thattransaction information is plotted against time, so that individualtransactions cannot be easily resolved, particularly where thosetransactions occur around the same time. When presenting ‘tick’ chartsthat display a mark for each transaction, prior art systems typicallyrepresent the transaction ‘tick’ with a dot or colored circle plotted atthe price of the transaction. Sometimes the ‘tick’ dots are connected bya line (see FIG. 6), and other times ‘ticks’ are transformed into acontinuous line that moves horizontally and vertically without showingany dots. However, these systems do not lend themselves to rapiddetermination of market conditions, because they do not indicateindividual transactions, or they do not allow easy, unequivocaldetermination of order initiation a critical determining factor in pricetrend detection as defined and shown subsequently hereto.

FIG. 4 shows an alternative form of a tick chart, called thepoint-and-figure chart 400, which was originally developed by floortraders who kept paper and pencil hand charts for quick reference. Thismethod plots transactions into columns, e.g. 410, for successive tradesthat maintain an upward or downward trend. If the price trend reversesby a preset arbitrary amount of minimum price increments, the plottingmoves to the next column, e.g. 412. Point-and-figure charts alternatelyplot X's and O's across columns. Point-and-figure charting isunsatisfactory for several reasons: not all transactions are displayedbecause only transactions that meet filter criteria based on the amountof a price increase or decrease between successive transactions areplotted; there is no indication of trading volume; and buyer/sellerorder initiation is not indicated.

During trading days, some trading systems monitor and display a varietyof general statistics to indicate market breadth and depth. Theseinclude such items as number of new highs, number of new lows, number ofadvancers, number of decliners, volume up, volume down and variousratios applied to said items. The tabular representation can also bepresented in chart form when the daily market statistics are shown forlarger time intervals. General market statistics are mentioned here inpassing because they are frequently cited when describing markets,however such market statistics do not provide detailed informationregarding individual transactions occurring in a market.

The prior art technical analysis systems have focused on ‘what’ happenedin security markets—what prices, what volumes, what statistics for afixed period of time, or some other fixed periodicity method of datasampling, such as tick bar charts that draw a new bar for every n-numberof ticks and then samples the results for high, low and close prices.From the observations thus gathered, prior art technical analysissystems attempt to explain ‘why’ trading occurred in the past accordingto apparent patterns, and ‘why’ trading is likely to respond in thefuture based on a potential repetition of past patterns and to valuesestablished from analysis of historical data.

Technical analysis is a somewhat artificial approach to predictingsecurity prices because of the false assumption that past observationsare a reasonable basis for determining future actions and results, whenin fact the act of functioning security markets is to bring togetherbuyers and sellers and establish mutually acceptable prices forexecuting transactions in a process that balances supply and demand fora security. It is further hampered by the attempt to use a periodicsampling process as an input database to their calculative output in anattempt to describe the non-periodic, even chaotic, market tradingprocess.

In contrast to technical analysis, academic research compares securitytrading to a ‘random walk’ that has no set pattern and no association ofhistorical precedent with future action. While no definitive answer hasbeen obtained as to the validity of technical analysis, a plausibleassumption is that if enough traders use technical analysis as a basisfor making trading decisions, then technical analysis will at least tosome extent be a self-fulfilling prophecy, by virtue of the fact that ifenough trading orders are executed due to a technical event then supplyand demand will be affected, and a security price will respond assuggested by the technical analysis. This too is a dubious assumption asany market activity is observed and responded to by variousparticipants, with various motives, over and over again, resulting in acompletely random and chaotic system.

Current methods of fixed or periodic data sampling are further limitedto the question of “at what specific prices did the market trade duringthe given interval?” This same question is further limited by the priorart data sampling approaches as the samples are customarily for only thehighest/lowest/first/last prices traded during the interval, leaving allother activity unexposed and unavailable for analysis. Using the priorart approaches, the only thing we can know from the outputs of thesesystems is that at least 1 transaction of unknown characteristicsoccurred at each of these so called sample prices during the specifiedtime interval.

How an order is initiated is fundamental to the price discovery processthat balances supply and demand through the subsequent process ofdiscovering a mutually acceptable trading price. If more orders areinitiated as buy orders, both in terms of price and volume, the existingsupply of willing sellers is absorbed and suppliers may notice theincrease in demand and raise prices to opportunistically increase theproceeds they may realize from entering into a trade. Conversely, ifmore orders are initiated as sell orders, then some buyers will beabsorbed and buyers may notice the increase in supply and lower pricesto protect against the possibility of being exposed to a loss from evenlower prices after making a purchase. Both activities cause securityprices to rise and fall accordingly. This change in price is whatcreates security trading profit opportunities.

Knowing how orders are flowing into an exchange making a market for asecurity, either as buy orders or sell orders, is an essential part ofthe information needed by the participants to the exchange tradingprocess, when trying to assess the balance of supply and demand and thepotential for a security price to move up or down. The failure of theprior art of technical analysis to recognize and display for each tradehow orders are initiated, and to integrate an indication of the size ofsaid orders, is a significant disadvantage.

One approach to displaying information relating to the source of ordersis to display so-called depth of market information. For example, asoftware package sold under the name “Patsystems J-Trader” displays adepth-of-market window, an example of which is shown in FIG. 5. Thedepth-of-market display 500 includes separate tables listing a number ofpending bids (advertisements to buy) 510 and pending offers(advertisements to sell) 512 at their respective prices and quantities.Kemp, II, et al, U.S. Publication No. 2003/0023542 discloses analternative tabular format for depth of market information, in whichbids and offers are displayed in separate vertical columns, instead ofside-by-side. However, the depth of market information in both of thesesystems is not integrated with graphical information displayingtransaction activity. In addition, discerning whether a transaction hasoriginated as a buy or sell requires intense vigilance on the part of auser in observing that a transaction has occurred at a particular priceand noticing a change in the number of units bid or offered at thatprice.

FIG. 6 depicts the display 600 of a security charting product availableunder the name “Investor/RT” from Linnsoft Software. “Ticks” (orsecurity transactions) are indicated by circles 610 filled in variouscolors, e.g., green, red, or brown, corresponding to buyer, seller andundetermined neutral orders, respectively. Trade quantity is presentedwith separate histogram bars 612 along the bottom of the ‘tick’ chart.The approach of using filled circles is not satisfactory because itdepends on the color coding alone to convey the indication of buyers andsellers, which is not effective when printed in black and white, as withmost laser printers, or when shown on monochrome display screens,because the colored circles all appear the same, as seen in the blackand white specimen shown in FIG. 6. In addition, the lack of integrationin the display of transaction price, order initiation, and transactionsize undesirably requires the trader to perform that integration as amanual process. Further, the Investor/RT system does not directlydisplay depth-of-market information or other indicia of pending orderson the transaction display. “4D Genie”, commercial product from 4DTrading, 4D Trading Ltd, Unit 11, Riverside Studios, 28 Park Street,London SE1 9EQ, discloses a system that displays a chart of recentlytraded prices in tick format. The product also displays depth of marketinformation.

Steidlmayer et al. U.S. Pat. No. 5,454,104 discloses a financial dataevent flow analysis system with study conductor display. The systemcontrols and manages “a continuous sequence of data by conductingstudies on user-defined segments of the data, and [displays] the studyresults in a concentrated summary form in vertical pipes on a singledisplay screen.” A commercial product sold under the name “MarketProfile” and associated with the inventors of the Steidlmayer patentplots so-called “Time Price Opportunities” (TPOs) as letters arranged invertical columns. Each letter corresponds to a defined time segment,such as a particular half-hour period during the day. The vertical axiscorresponds to price, so the vertical width of a letter representsaggregate trading within a relatively small price range, and avertically contiguous series of a particular letter represents a largerprice range formed by the concatenation of the contiguous letters. If aletter appears at a particular price, at least one trade occurred inthat price range during the time period represented by the letter.Trading activity is aggregated over numerous time segments, generating adisplay showing the aggregate distribution of TPOs over a study period.Because the Steidlmayer system aggregates trades, and displays priceranges, it does not necessarily depict the time, price or quantity ofany particular transaction.

Many of the prior-art trading analysis and display systems, includingthe Steidlmayer system, aggregate or sample transactions over arbitraryperiods that may have no relevance to the activity of the market and itsparticipants. As noted earlier, trading of securities involves buyersand sellers in an auction process whereby trading prices are discoveredand trades are executed between the parties. Trading usually varies inintensity during a given trading day as traders establish price pointsand subsequently execute trading orders around said price points. Eachsuch group of trades may be logically grouped and considered to be anauction event within the trading day. An auction event, or series oftrades around a price point, register elapsed times which vary randomlyfrom a few tens of seconds to a few hours dependant on participantactivity, before a significant change in price point is discovered and anew auction event starts. In the course of a trading day many shortauctions can occur in the continuing process of making a market andbalancing supply and demand for a security.

Although many prior art trading analysis and display systems have somesort of transaction aggregation or grouping, such systems have providedgrouping or aggregation on arbitrary boundaries, rather than boundariesdiscerned from the actual ebb and flow of trading activities.Accordingly, where the arbitrary aggregation and grouping of a tradingsystem happens to be unaligned with actual trading activity, trends inthat activity may be masked or incorrectly interpreted, and false trendsmay be seen.

Accordingly, the need exists for a high-performance securities tradinganalysis and display system that integrates the detailed transactioninformation needed by a trader to make profit-maximizing tradingdecisions. In addition, the need exists for a system that providesappropriate analysis and display of trend information derived from andaligned with actual transaction activity in the market

OBJECT AND SUMMARY OF THE INVENTION

It is therefore an object of the present invention to provide anarrangement for analyzing and displaying security trade transactionsthat avoids the aforementioned disadvantages of prior-art systems.

A system (and associated methods for use in conjunction therewith)arranged according to the present invention for analyzing and displayingsecurity trade transactions to a user and for receiving from a usersecurity trade orders comprises at least one exchange server, at leastone trader administration and risk manager workstation coupled to theexchange server, at least one trader workstation also coupled to theexchange server, appropriate software described further herein, andappropriate telecommunications and networking facilities to allowcommunications among the servers and workstations. The servers andworkstations may be implemented using industry-standard IBM-PCcompatible computers of known design. Although these elements arereferred to in the drawings and the text as separate units, one or moreof them may be integrated in the same physical computer system. Althoughthe trader workstation and exchanger server is typically mentionedherein in the singular, several of each may be present.

The exchange server is connected to the exchange market data and tradingsystem of at least one securities exchange via conventional high-speednetworking and telecommunications facilities, to receive securitiestrade transaction information (and other related information) on anear-real-time basis, and to transmit securities trade orders. Theexchange server reformats data received from various exchanges indisparate formats into a universal format for use by the traderworkstations.

The trader workstations provide display processing to presentinformation about securities trade transactions (including analyzedinformation) for securities selected by the user in three primarydisplay formats. The trader workstations interact with the exchangeserver to obtain information about the trade transactions in theselected securities, along with other related information, and displayit to a user. The trader workstations may optionally provide “echoic” orsound-cue representations of data and events. The trader workstationsprovide a user interface to enable the user to select securities fordisplay, for controlling parameters of the display and analysis system,such as the criteria for when a new auction is deemed to begin, or thecriteria controlling when an echoic indicia is provided. The userinterface of the trader workstation may allow a trader to enter an orderfor a transaction in one of the securities for which information isdisplayed; the order information is forwarded to the exchange server,and then to the securities exchange.

The administrative and risk management workstation controls access tothe display and order entry systems, and allows administrative personnelto monitor activity for transactions of interest, including those thatmay indicate that a trader is engaging in activity which the systemoperator may consider to carry excessive risk.

The trader workstations may provide three primary displays regarding aselected security: a TICKFLOW display, and optionally, auction summaryand auction set displays. The term “TICKFLOW” is a trademark ofTradegraph, L.L.C.

According to an aspect of the invention, a TICKFLOW display indicatesthe prices of recent transactions, the size of such transactions, andwhether such transactions are deemed to be buyer-initiated or sellerinitiated. The security exchange trading and market information isprocessed and displayed as a continuously updated chart that plots eachtrade at the price traded and for each plot point shows: a triangle,arrow, or similar shape pointed up to indicate a trade initiated by abuyer, a triangle, arrow or similar shape pointed down to indicate atrade initiated by a seller; and a circle, diamond, or other shape, toindicate a trade if buy/sell order origination is not determined.

According to a further aspect of the invention, the TICKFLOW chart mayalso display “market depth” information regarding pending bids andoffers for the security including the number of units and price at whichsuch bids and offers are extended. Preferably, the market depthinformation is integrated with the price axis of the chart on thedisplay screen and includes a list book of bid/ask orders, known as thebook or depth-of-market (DOM) for a security, showing the quantityordered at each bid/ask price level. By integrating a live DOM allowinga trader to enter orders by clicking on displayed DOM prices along sidethe security price chart, a trader can see and act upon all relevantpricing data at once without looking at different parts of a display tosee the data or place orders in separate windows, as is the case inprior-art art systems. This is a significant improvement over prior-artsystems because it allows traders to speed-up their interpretation ofmarket activity, thereby allowing a trader to more quickly decide onappropriate trade order actions to take, and hopefully allows a traderto be the first to place a trade order before competing marketparticipants also recognize and take advantage of the same tradingopportunity.

By reviewing the chart, traders may determine if trading is composedmore by buyers or by sellers, if orders placed by buyers or sellers arelarger or smaller, and if the book of bid/ask orders is changing basedon buying or selling activity. A trader can conclude that trading isdirectionally biased into an upward or downward trend based on ordersoriginating from buyers or sellers and increase the probability ofmaking a profit from buying low and selling high.

According to a further aspect of the invention, a user interface allowsa trader to quickly enter limit orders to buy or sell a predeterminedquantity of a security by scrolling with a computer pointing device,such as a mouse or track ball, over the depth-of-market bid/ask orderlisting and clicking or selecting the desired price with the computerpointing device buttons. Generally, a computer mouse is set-up such thatone button enters a buy order and the second button enters a sell order.Additional buttons may be assigned related functions, such as cancelinglimit orders not yet filled by an exchange, so that a trader can quicklyre-enter an order with a new limit order price. If the chart is used todisplay contract prices for future delivery, as may be the case forcommodity, energy, financial, index, foreign currency and equity futurescontracts, the chart may preferably also include plot points for thetraded prices and bid/ask prices for the underlying cash market.

According to a further aspect of the invention, as trades are plotted,sound cues or tones are emitted as “echoic” or audible tradingindications, depending on pre-specified criteria, to coincide withbuyer/seller trading, quantity traded, price level alerts, and tradingin underlying cash markets, if applicable.

According to a further aspect of the invention, the chart can be furtherfiltered to group trades into self-creating auction events, depending onuser-selected or predetermined criteria based on the number ofsequential buyer or seller trades, quantity traded, and change in thetraded price, or other auction criteria as may be applied. Auctionevents can then be recorded and displayed as bars on a separate auctionchart where the bars show the low to high price range and volumeweighted average price for trades grouped into each specific auctionevent. The TICKFLOW display identifies the time at which each auctionbegins.

According to a further aspect of the invention, if a facility todetermine auction events is provided, an auction summary chart may beprovided to display auctions for a selected security. The auctionsummary chart uses a bar chart format where every bar marker indicatesthe price range of each auction event, and the dot on an auction barmarker indicates the volume weighted average price (VWAP), modal price,or other derived characteristic determined for each auction. Once eachauction event ends, a filter processes statistics derived from theauction event and a score, called a Trend Status Value (TSV) score iscalculated and assigned to the auction and noted above the box drawnover the auction bar. A positive score tends to indicate support forincreasing price, and a negative score tends to indicate support fordecreasing price. Auction events and their TSV scores are analyzed todetect trends or “auction sets”, which are delimited by a reversal inthe TSV score. A box is drawn around the auctions belonging to aparticular auction set to identify them. The TSV scores are alsographically displayed as small bars at the top of the auction summarychart marker making it easy for traders to detect the strength,direction and reversal of price change trends.

According to a further aspect of the invention, if a facility todetermine auction events is provided, an auction set display may beprovided to graphically summarize a series of auction sets. When a trendreversal is detected and a new auction set started, the previous auctionset is summarized and drawn as a single bar on the auction set chart Adot is placed on the auction set bar at the VWAP price point calculatedfor the auction set.

According to a further aspect of the invention, the security market andtrade information are preferably displayed on real-time displaysconnected to exchanges and viewed by online traders with network orInternet access for the purpose of executing trades.

BRIEF DESCRIPTION OF THE DRAWINGS

These and other features of the invention will be best understood byreference to the following detailed description of a preferredembodiment of the invention, taken in conjunction with the accompanyingdrawings, in which like reference characters denote the same element,and in which:

FIG. 1 is a rendition of a candlestick chart, a prior-art method ofdisplaying historical security prices and aggregate transaction volumes;

FIG. 2 is a rendition of a line chart, a prior-art method of displayinghistorical security prices;

FIG. 3 is a rendition of a bar chart, a prior-art method of displayinghistorical security prices and ranges thereof;

FIG. 4 is a rendition of a “point and figure” char, a prior-art methodof displaying approximate prices of a security, and trends affectingthose prices;

FIG. 5 is a rendition of a “depth of market” window, a prior art methodof displaying bid and offer prices, and the number of units offered atsuch prices, for a security;

FIG. 6 is a rendition of a tick chart, a prior-art method of displayingprice, volume, and order initiation of security transactions, fromInvestor/RT, a known software product;

FIG. 7 is a block diagram depicting an overview of a system 700 foranalyzing and displaying security trade transactions constructedaccording to an aspect of the present invention;

FIG. 8 is a rendition of a tick flow chart of the type produced by thetrader workstation of the system 700 of FIG. 7, showing details ofindividual security transactions, auctions, and market depthinformation;

FIG. 9 is a rendition of an auction summary chart of the type producedby the trader workstation of the system 700 of FIG. 7, showing detailsof individual auctions, trend status values for such auctions, andauction sets;

FIG. 10 is a rendition of an auction set chart of the type produced bythe trader workstation of the system 700 of FIG. 7, showing in summaryform a plurality of auction sets of the type detailed in FIG. 9;

FIG. 11A is a flow diagram depicting a method 1100, for use inconjunction with the system 700 of FIG. 7, for processing transactionsand displaying ticks;

FIGS. 11B and 11C are continuations of the flow diagram of FIG. 11A;

FIGS. 12A and 12B are a flow diagram depicting a process 1200, for usein conjunction with the system 700 of FIG. 7, for assigning trend statusvalues to auction events; and

FIGS. 13A and 13B are a flow diagram depicting a process 1300, for usein conjunction with the system 700 of FIG. 7, for assigning echoicsounds to transactions.

DETAILED DESCRIPTION OF THE PREFERRED EMBODIMENTS

FIG. 7 is a block diagram depicting an overview of a system 700,constructed according to an aspect of the present invention, foranalyzing and displaying security trade transactions, and for receivingfrom a user security trade orders. The system 700 comprises at least oneexchange server 710, at least one trader administration and risk managerworkstation 712 coupled to the exchange server 710, at least one traderworkstation 714, 716 also coupled to the exchange server 710,appropriate software described further herein, and appropriatetelecommunications and networking facilities 718, 720, 722 to allowcommunications among the servers and workstations. The exchange server(“Server”) 710 interfaces end-users with exchange market data and orderrouting capabilities. The trader workstations 714, 716 are clientdevices that provide end-user services. The administration and riskmanager workstation 712 is used to set-up trader accounts for thesystem, set trading controls, and to monitor trading activity.Appropriate software, described further herein, runs on the traderworkstations 714, 716, and the exchange server 710.

The exchange server 710 acts as the interface between end-user tradersand security exchange(s), and has two essential roles: (1) subscribingto and receiving exchange market data, including traded prices withtraded volume, and current bids and offers and (2) routing end-usertrading orders to exchange(s) for matching. The method described hereininvolves the use of said exchange market data, which the server receivesfrom one or more exchange market data and trading systems 724 andprepares for retransmission to the trader workstations 714, 716.

The servers and workstations may be implemented using industry-standardIBM-PC compatible computers of known design. Although these elements arereferred to in the drawings and the text as separate units, one or moreof them may be integrated in the same physical computer system. Althoughthe trader workstation and exchange server is typically mentioned hereinin the singular, several of each may be present. The computer softwaredescribed herein may be implemented using commercially availablesoftware development tools. For example, a commercial embodiment of theinvention was implemented using Microsoft C++ 6.0, Microsoft VisualFoxpro 7.0, and other tools. Other software development environmentscould also be used. The software may also make use of softwareapplication program interfaces (APIs), networking programs, andnetworking protocols developed or in use by other sources, including thesecurity exchanges Chicago Board of Trade (CBOT) and Chicago MercantileExchange (CME).

FIGS. 11A-11B are a flow diagram depicting a method 1100, for use inconjunction with the system 700 of FIG. 7, for processing transactionsand displaying ticks. The method 1100 includes some preparatory steps,which are performed by the exchange server, and will be discussed here.

At step 1110, in order to receive security exchange market data, theexchange server 710 logs into and is authorized to connect to the dataservers 724 at security exchanges. Once connected to the data servers724 at security exchanges, in step 1104, the server 710 then subscribesto receive selected exchange market data, and the server may alsospecify particular data formats to receive if an exchange transmits datain multiple different formats, as is usually the case. For example, toreceive market data from the Chicago Mercantile Exchange (CME), theServer logs in with a user identification and password issued by theexchange and then transmits to the exchange a subscription command thatspecifies which futures contracts and which market data record types thesecurity exchange servers should send to the exchange server 710.

Because exchanges provide market data in multiple different formats, ormessage types, which are transmitted simultaneously to the exchangeserver 710, the exchange server must recognize the different messagetypes as they are received and then process the data provided by theexchange. For example, the server 710 may subscribe via the ChicagoMercantile Exchange to the popular S&P 500 E-Mini futures contract for agiven expiration month and then also specify to receive two differentdata messages for the contract, one that sends updates for the lastexecuted trades and another data message that sends updates for thecurrent book of bid/ask orders used for depth-of-market information. Instep 1106, the exchange server 710 then begins receiving the data sentfrom the security exchange servers 724 and extracts the data elementsrequired by the trader workstation 714 to construct the market data“TICKFLOW” chart (see FIG. 8) according to the steps of method 1100described per.

One of the tasks of exchange server 710 is to format the multiplemessage types of incoming security exchange market data into onestandard data record before sending the data to trader workstation 714(step 1108). Because exchange server 710 formats all security exchangemarket data into one standard format, called a Universal Data Structure,or UDS, the trader workstation 714 can process the data according to themethod herein regardless of how many different data messages wereoriginally processed, the timing of the incoming market data messages,or because of any other differences between how each security exchangeprovides and formats market data. The last point is important whenconsidering that there are significant differences between the waymarket data is provided, for example, by the Chicago Board of Trade(CBOT), the German exchange EUREX, and the CME. In the case of the CBOTand EUREX market data feeds, the market data quantities and prices aresummarized and updated every few seconds. The CME can send an updatemessage for every executed trade and change to the bid/askdepth-of-market, creating a huge message flow to the exchange server 710for popular futures contracts like the S&P 500 E-Mini. Although securityexchanges transmit market data in different intervals, the exchangeserver 710 is adapted to logically synchronize bid/ask depth-of-marketdata with last executed trade data to create one resulting datastructure, the UDS. By carefully synchronizing market data regardless ofwhich security exchange the exchange server 710 is connected to, thetrader workstation 714 software using the UDS data is able to make anaccurate analysis when comparing the last trade price with bid/askdepth-of-market prices, and assign appropriate icons to be charted forshowing buyer and seller orders using the method 1100, as furtherdescribed.

The UDS data structure preferably includes all of the data elementsrequired, including the price, volume and time of the last executedtrade, and the total order quantities for up to 10 bid and 10 ask pricesfor depth-of-market. The UDS also preferably contains the lowest andhighest trade prices for the day, the change in price since thebeginning of day, and when provided by the exchange, the identifier ofthe buying and selling parties of the last executed trade.

Once the UDS structure is built from the various security exchangemarket data messages, in step 1110, the exchange server 710 transmitsthe UDS record to all trader workstations 714 that have subscribed tothe market data provided by the UDS. The exchange server 710transmission uses standard Internet Protocol, or IP, to deliver the UDSdata to the Client, which may be connected on a local area network(LAN), a wide area network (WAN), a virtual private network (VPN),and/or through an Internet service provider (ISP) (all showncollectively as 722 (FIG. 6)). Although the exchange server 710 andtrader workstation 714 are depicted as separate units, their functionsmay be integrated in a single computer system.

In sum, the exchange server 710 is a high performance router ofinformation, taking thousands and up to millions of messages fromsecurity exchanges each trading day, repackaging the incoming data intoUDS data structures, and forwarding the market data to appropriatetrader workstation 714. It is critical that the exchange server 710 notlose incoming market data while repackaging the data for transmission totrader workstation 714, and as such, the exchange server containsadditional logic to temporarily hold, or buffer, incoming market data ina queue which is then processed into the UDS structures. In someinstances, the exchange server 710 may preferably refrain fromre-transmitting the market data in an effort to improve efficiency, ifthe only change in the new UDS record would be a relatively minor changein the order quantities found in the bid/ask depth-of-market data.However, in almost all other cases, the exchange server 710 does build anew UDS record for transmission to trader workstations 714, particularlyif a new trade is executed, or if a new price point is established forthe bid/ask depth-of-market orders.

The trader workstation 714 or “client” provides an interface to enablethe end user to interact with the system. An end user, or trader, mayuse the system by stating the program. In step 1112, the system promptsthe user for a user identification and password. One or more exchangeservers 710 may be designated for each security exchange. In figure1114, after the trader workstation 714 software begins operation and atrader's identification is verified, the trader workstation 714subscribes to exchange server 710 by sending a message to each suchserver 710 containing a list of securities the trader workstation 714wants the exchange server 710 to send market data for. The exchangeserver 710 verifies if the trader using the trader workstation 714software is entitled to receive the market data for the requestedsecurities based on a list of securities established by a TradeGraphSystem Administrator. The exchange server 710 then begins transmittingmarket data for the authorized list of securities to the traderworkstation 714.

The trader workstation 714 is able to save market data previouslyreceived from the exchange server 710, and if saved data is foundcorresponding to the same securities being actively subscribed to, thetrader workstation 714 will load the historical data first and thenbegin processing of the current real-time market data coming from theexchange server 710. To facilitate matching historical data with currentdata, historical data files must follow a naming convention thatincludes the symbol for the security. If historical data is found, thetrader workstation 714 will append the new, current market data to theend of the previously saved historical data, and display both thehistorical and current data to create a continuous chart of data overthe period of time for which data is available for, up to a maximumsetting based on the capacity of the trader workstation 714 program tohold data in active memory for rapid display.

Once the preparatory steps have been completed, the system is ready fordisplaying security transaction information. In step 1116, the traderworkstation 714 receives a Universal Data Structure (UDS) that containsmarket and trade data from exchange server 710. Once a UDS record isreceived, the trader, workstation 714 processes the new data by firstchecking to see if the new UDS record contains data for a new trade, orjust a change in depth-of-market (DOM) prices and/or quantities. In step1118, the system determines if the UDS record contains a new trade, thevalue of the trade volume is greater than zero, and the value of thetotal volume traded for the day is greater than the value of the totalvolume traded from the previously received UDS record. If the result ofstep 1118 is affirmative, then in step 1120, the UDS data is thenevaluated to determine if a buyer or seller initiates a trade, or if noorder initiation type can be assigned. To assign order initiation to thetrade, the trade price is compared to the bid/ask prices of the mostrecent UDS received before the current UDS, under the assumption thatthe DOM data that existed at the time of the current trade is correctlyheld in the prior UDS, and that the DOM data in the current UDS may havealready changed subsequent to the current trade.

As a technical note, electronic exchanges generally process trade orderssequentially on a first-come first-serve basis. However, thetransmission of current market data prices, including the data for themost recent trade and the current DOM may occur as parallel processeswith the exchange sending one data message for last trade data and aseparate data message with DOM data, such that each data message is notnecessarily perfectly synchronized or exactly associated with the other.Thus, it is up to the practitioner to review exchange market datamessage transmission documentation and methods to best determine if atrade price should be compared to the DOM data of a prior UDS or thecurrent UDS to properly reflect the market state at the time justpreceding the actual trade.

The process of evaluating a trade to determine whether it was buyer orseller initiated is shown in step 1120. If the current trade price isequal to or greater than the best ask price of the previous UDS, thenthe trade is assigned as buyer initiated. If the trade price is equal toor less than the best bid price of the previous UDS, then the trade isassigned as seller initiated. If the trade price falls between the bestask and best bid prices, then trade initiation is considered to beunknown. This occurs when an inbound bid matches an inbound offer beforebeing posted in the depth-of-market.

Once trade order initiation is assigned, then in step 1122, an iconicrepresentation for the trade can be determined. For example, an upwardtriangle, arrow, or similar iconic shape may preferably be used fororders initiated as buys, and a downward triangle, arrow, or similariconic shape may preferably used for orders initiated as sells, and adiamond, circle, or similar iconic shape may preferably be used forundetermined order initiation. Other shapes and indicia may also beused. Further, an appropriate distinguishing color may be assigned,depending on order initiation, to reinforce the information provided bythe iconic shape, thereby further aiding in distinguishing amongbuyer-initiated, seller-initiated, and neutral ticks. Generally, ordersinitiated as buys are displayed in blue or green, and orders initiatedas sells are displayed in red hues.

According to a further aspect of the present invention, an indicia maybe applied to the display of a trader's own transactions to distinguishthem from other executed orders on the display. For example, the systemmay preferably draw a circle around the triangle used to depict the‘tick’ associated with a trader's own trades. The feature of addingdistinctive indicia is not limited only to the aforementioned attributesfor assigning iconic symbols to transactions. A variety of othertreatments may be used to expand the compound capability of iconicrepresentation for attributes. For example, the triangle icon may bemodified with lines, dots, numbers or other markings to indicate exactorder amounts and buyer and seller identities when security exchangesmake such information available.

Thus, as shown in step 1124, other transaction parameters may preferablybe used to determine additional attributes for the iconicrepresentation. For example, the iconic shape may be filled, shaded,hatched, its line width may vary, or it may otherwise be given adistinctive appearance depending on the volume of a trade. This furtherenhances the information content of the iconic representation of thetrade. Smaller trade quantities are displayed with unfilled iconicshapes, and larger trades are displayed with filled or patterned iconicshapes. Furthermore, if it can be determined that the trade is theresult of an order just filled for the trader, the iconic representationof the trade can be highlighted by placing a circle or box around theicon, or distinguishing the icon through other display mechanisms suchas using a different foreground or background color, or using a bolder,brighter or flashing presentation.

In step 1136, the iconic shape assigned to the current trade may beplotted on a chart that has price on the vertical axis and time on thehorizontal axis, with the shape placed on the chart is co-linear withthe price of the trade. According to a first exemplary embodiment of thepresent invention, the trade may be plotted following previously plottedtrades in a sequential order. According to a second exemplary embodimentof the present invention, the trade may be plotted according to aprocess whereby trades are grouped into auctions, as described below ingreater detail in connection with steps 1126-1134. When trades aregrouped into auctions, the horizontal axis represents time in a modifiedsense—that is, auctions are plotted left-to-right in time order, butwithin a single auction, the left-to-right order of plotted transactionsconveys no information regarding the time at which the transactionsoccurred.

According to a further aspect of the invention, as a trade is plotted,an echoic, or sound, representation may be assigned to the trade as anadditional way to represent the exchange. FIG. 13 is a flow diagramdepicting a process 1300, for use in conjunction with the system 700 ofFIG. 7, for assigning echoic sounds to transactions. In step 1310,attributes of a trade are provided to the echoic representation processto establish a filter to assign a sound to a trade. In step 1312, thetrader workstation 714 evaluates the input data and assigns differentuser specified sounds based on the size of a trade order and whether ornot order initiation was by a buyer, seller, or was undetermined.Similar filters can be set in the system to evaluate cash market trades(i.e., where the item being traded using the system is a derivativeinstrument, events in the cash market for the underlying security may beused to generate different sounds). The evaluation of cash marketevents, and assigning sounds in response thereto, is handled in step1314. In addition, filters can be set in the system to evaluate averageask and bid prices in the depth-of-market information to assign echoicrepresentations to activity that may affect trading in the primarymarket. The evaluation of depth-of-market information and events, andassigning sounds thereto, is handled in step 1316.

Echoic sounds may be defined by pitch, duration, or othercharacteristics, and sounds may be combined to be intoned quickly oneafter another to signal a trader that trades of a certain size and/ororder initiation type are occurring without the requirement of viewingthe visual display showing the chart of trading activity. Echoicrepresentations can also include playback of sound messages as may beassigned to describe trade data attributes.

Echoic, or sound-based representations of trading data also provide acompelling communication additive to help traders sense marketintensity, similar to trading in the live auction pits still used infutures trading. As with visual icons, echoic representations offer avariety of options, from fairly rapid single and multi-tone sounds toperiodic playback of sound recordings or text-to-speech. Preferably,sound tones may be set by a trader to be played when transactionquantities reach various levels, differentiated by buyers and sellers,according to the logic shown in FIG. 13. These sound tones can be set assingle or multi-toned, and the pitch and duration of each tone can beindividually set for different quantity levels traded or various othercriteria. By varying pitch, duration and tone combinations, traders canlisten for new buy or sell trades/orders and actually hear thedifference between larger and smaller trades/orders and more or lesstrading activity. When trade sizes increase, the sounds indicate thedirection and magnitude of liquidity absorption and reinforce the visualcues provided by the iconic representation of the transactions.Together, iconic and echoic representations provide significantimprovement in the level of communications a trader receives from atrading and display system.

A first display product produced by the method 1100 of FIG. 11 is theTICKFLOW chart 800 of FIG. 8. The TICKFLOW chart 800 is a significantimprovement over the prior art in that it allows the trader to performdetailed observation and digitization of the naturally expressedexchange process in which buyers and sellers discover mutuallyacceptable prices to consummate transactions. Real-time market andtrading data from security exchanges are processed by the system 700 toimmediately display price and volume, and includes the interpretationthat virtually all transactions are either initiated as buy orders orsell orders. An iconic representation for each transaction clearlyindicates, without regard for color-coding, if market transactionsoriginate from buyers or sellers.

As best seen in FIG. 8, the TICKFLOW chart display 800 indicates theprices of recent transactions, the size of such transactions, andwhether such transactions are deemed to be buyer-initiated or sellerinitiated. The security exchange trading and market information isprocessed and displayed as a continuously updated chart 800 that plotseach trade at the price traded and for each plot point shows: atriangle, arrow, or similar shape pointed up (e.g., 810) to indicate atrade initiated by a buyer, a triangle, arrow or similar shape pointeddown (e.g. 812) to indicate a trade initiated by a seller, and a circle,diamond, or other shape (not shown), to indicate a trade if buy/sellorder origination is not determined.

The importance of discriminating between buyer-initiated andseller-initiated transactions arises from the directionally biasedimpact those types of transactions have on price. In general, when atrader wants to buy or sell a security immediately, the trader views thebid/ask book, or depth-of-market Securities offered for sale have an askprice. Securities sought for purchase have a bid price. If the traderwants to buy a security immediately, the trader can buy at the ask price(the “ask”). Such a transaction is considered buyer-initiated, andresults in a plot on the chart that is represented by an upward triangle810. The upward triangle is symbolic of the fact that buying pressuretends to drive prices up. If the trader owns a security and would liketo sell it immediately, the trader can sell at the bid price (the“bid”). That transaction results in a plot on the chart that isrepresented by a downward triangle 812. The downward triangle issymbolic of the fact that selling pressure tends to drive prices down.It is participants with an immediate need to buy or sell that cause themarket to adjust the trading price to maintain equilibrium betweenbuyers and sellers.

The TICKFLOW chart 800 displays depth-of-market in the form of columnsadjacent to and tabularly aligned with the price axis of the chart. Afirst column 824, lists the total number of contracts bid or ask at theadjacent price displayed on the charts price axis. A second column 822indicates the bid/ask price. The highest bid price and the lowest askprices are considered to be the ‘best’ bid price 820 and ‘best’ askprice 818 respectively. A trader can view the depth-of-market anddetermine if there are few or many contracts at the bid or ask prices.If a trader places an order, and depending on the quantity of the order,the order may be only partially filled at the best price, and theremainder filled at the next price, and so on, until the total quantityof an order is matched for the transaction according to the quantitiesand prices listed in the depth-of-market

Listing, in the TICKFLOW chart display, the depth-of-market directlynext to and sharing the vertical price axis of the chart is asignificant improvement over prior art display systems. By placing thedepth-of-market next to the vertical axis, the depth-of-market pricesactually form an integral part of the labeling of the vertical priceaxis. As trades are plotted, the most recent trade price is indicated at815, and the security product symbol is indicated at 826. As marketprices vary, the depth-of-market display moves up and down along thevertical axis to correspond to changes in bid/ask prices and theplotting of transactions. Prior art security charts do not integrate thedepth-of-market with a graphical transaction display, but insteadprovide depth-of-market information in a separate window where thedepth-of-market values are listed in a tabular report (see FIG. 5). Byintegrating the depth-of-market with the security chart, traders caneasily see if orders are transacted at the bid or ask prices, as well asobserve changes in the depth-of-market quantities over the price rangeindicating relative liquidity over the price scale.

The difference between the ‘best’ bid price 814 and the ‘best’ ask price818 is called the spread. Securities that are heavily traded tend tohave very narrow spreads, but securities that are lightly traded canhave spreads that are significant, and a gap will appear in thedepth-of-market display between the ‘best’ bid price and the ‘best’ askprice.

The width of the spread is indicative of a security's liquidity. If thespread is small and the depth-of-market continuously shows quantities ofbuy and sell orders greater than the average size of executed trades,the market is liquid and investors are willing to buy or sell a securityat any time. If the spread is large, or quantities in thedepth-of-market are small compared to transaction sizes, then the marketis not as liquid and buyers and sellers are probably scarce or unwillingto trade. The spread is important to market makers and specialists is(depending on the exchange) that buy securities from the public at thebid price and sell securities to the public at the ask price, therebyprofiting from the difference in the bid and ask prices. The spread isalso important to traders who must realize a change in the price greaterthan the spread to exit a position profitably. By displaying thedepth-of-market along the price axis of the tick chart, the systemdisclosed herein improves on prior systems by allowing traders tovisually assess the width of the spread and assess market liquidity fora security relative to market trading activity.

Moreover, as trades are plotted on the chart, a trader can conclude thatbuyers initiate most of the trades if the majority of the iconic shapesare pointed up, and conversely, the trader can conclude that sellersinitiate most of the trades if the majority of the iconic shapes arepointed down. Also, if most of the iconic shapes are darker, filled inshapes, then a trader can see trade quantities which are higher andnotice that participation within the exchange security trading, isincreased, which tends to re-enforce the depicted price trend.

A trader can also watch the quantities in the depth-of-market listed atthe side of the chart and see if the quantities corresponding to the askprices are reduced if most of the orders are from buyers as buyersdeplete the securities offered for sale. Similarly, a trader can observeif the quantities corresponding to bid prices are reduced if most of theorders are from sellers. As the quantities in the depth-of-market changein response to how orders are initiated by buyers or by sellers in theexchange process, and as exposed by the iconic presentation of thepresent system, a trader can see how the equilibrium of supply anddemand for a security may change, and how new price points fortransactions may be set as traders discover whether the market iscomposed more by initiating buyers or sellers at a current price point.The system of the present invention allows a trader to quickly see, andoptionally hear, if big buyers support the market, or big sellers areapplying downward pressure. This is a significant advantage during rapidreal-time electronic trading.

Once a trade is evaluated and assigned iconic and echoicrepresentations, the iconic shapes are displayed and echoic soundsintoned or played through speakers. A basic process of displaying theiconic shapes has been described earlier, wherein each trade is plottedin sequential order following prior trades. According to a furtheraspect of the present invention, sequential trades may be organized intogroups called auction events, which are established using filtercriteria. Before discussing the mechanism by which the system organizestrades into auction events, it may be helpful to consider the relevanceof auctions in security trading.

The auction mechanism used by exchanges has traditionally involvedface-to-face meetings of parties, for example at specialist posts at theNew York Stock Exchange (NYSE) or in trading pits at the Chicago Boardof Trade (CBOT) or Chicago Mercantile Exchange (CME), where traders actas, or represent, buyers and sellers of securities, indicating to eachother how much and at what price they will trade a security. In thetraditional auction process, each trader can see if other traders arebuying or selling and who is making the best offer to buy or the bestoffer to sell. Trading usually varies in intensity during a giventrading day as traders establish price points and subsequently executetrading orders around said price points. Each such group of trades maybe logically grouped and considered to be an auction event within thetrading day. An auction event, or series of trades around a price point,register elapsed times which vary randomly from a few tens of seconds toa few hours dependant on participant activity, before a significantchange in price point is discovered and a new auction event starts. Inthe course of a trading day many short auctions can occur in thecontinuing process of making a market and balancing supply and demandfor a security.

The advent of automation with computers and electronic communicationnetworks has increased the speed with which exchanges are able to matchbuyers and sellers of a security. Examples of exchange automationinclude the National Association of Securities Dealers AutomatedQuotation System (NASDAQ), the Globex system used by the ChicagoMercantile Exchange (CME), and the a/c/e system used by the ChicagoBoard of Trade (CBOT). In automated exchanges, orders are postedelectronically and filled when the price of buy and sell orders match,or at the best available price for orders entered as market orders. Thematching process is still an auction involving price discovery and tradeexecution, however, electronic auctions are not face-to-face in thetraditional sense and the identity of buyers and sellers, as well as theactual number of buyers and sellers, may not be known or readilyapparent. It is up to an exchange system to make information availableabout the parties buying and selling and the source of actual trades,and other than identifying market makers in the NASDAQ Level II system,exchanges generally do not identify buyer or seller information, butreport only on the quantity and price of a trade and the current pricesbid or offered.

As best seen in FIG. 8, according to a further aspect of the presentinvention, system 700 may filter sequential trades into auction groupssuch as group 828. A color bar along the bottom axis of the TICKFLOWchart 800 indicates which transactions are part of one logical auctionevent. Within an auction event, each triangular icon representing atransaction, or ‘tick’, is plotted across from the price at which thetransaction is executed in the left-most available column within theauction for the price. If previous icons already use all of the plotspace within an auction for a given price, then the auction is expandedto the right to add a new column space for the current transaction icon.Unlike prior art tick chart systems that plot each sequential tick infront of a previously plotted tick, the preferred embodiment specifiedherein will plot the current tick over or under a previously plottedtick as long as the auction event continues, and a column 830 in theauction is available for the transaction price.

Before each transaction is plotted, filter criteria are tested todetermine if the current transaction, or tick, satisfies the criteria tostart a new auction. The goal of the auction event filter criteria is togroup sequential transactions based on the measures of supply anddemand, including the variables price, quantity, sequential directionand whether orders are initiated as buy or sell transactions. The methodof applying the filter criteria to determine whether a transaction ispart of a new auction event is depicted in FIG. 11B, steps 1126-1136,described further below. By using a filter to group transactions intoauction events, traders can observe clusters of trading activity insteadof focusing on the purely sequential timing of non-descriptivetransactions. This is a significant advance over prior art, includingthe point-and-figure charting method of FIG. 4, which only checks for achange in price direction of some minimum number of price increments toseparate groups of trades.

By creating auction events to logically group sets of transactions,system 700 is able to create a display that, to the extent currentlypossible given the limitations of computer displays, simulates thequality and quantity of information a trader could observe if the traderwere standing in an open outcry trading pit, or post, and interactingwith other traders directly. Each auction is, in effect, thepresentation of the action that would otherwise occur in a trading pitfor whatever length of time is necessary to consummate the fulfillmentof a series of trade orders at a given level of supply and demand, andbefore a new equilibrium point, or “fair” price, is determined fromwhich a new auction will eventually originate. By effectively simulatingthe open outcry trading pit, the system described herein offers greatutility to traders who are used to the sensory input of personalinteraction to detect changes in supply and demand, and who otherwisehave difficulty using prior art electronic trading systems that eitherdepend on historical, time-based technical studies, or grids of numberswith no graphic image, to establish supply/demand reference points.

According to an aspect of the present invention, an auction event isdefined by criteria that specify the number of consecutive trades of thesame order initiation type within the auction group, or a trade with aquantity greater than a pre-determined size that is coincident with achange in price of a specified magnitude, or other auction criteria asmay be applied. The auction criteria is designed so that a user canmodify the filter values according to the market being traded in orderto identify clusters or groups of trades that represent short logicalauction events during the otherwise continuous stream of transactions.

The assumption of the above criteria is that if enough trades occursequentially of one type of order initiation, then such a constantstream of orders initiated by buyers or initiated by sellers indicates adirectional bias in trading, and ultimately, will cause a consequentupward or downward price trend. In the second scenario, a large trade ata new higher or lower price point indicates a willingness on the part ofthe order initiator to establish a new price and essentially force othermarket participants to concur.

Referring now to FIG. 6, steps 1126-1136 are used to determine whether aparticular trade begins a new auction or is added to an existingauction. In steps 1126 and 1128, a transaction is tested against twoauction event criteria A first criterion determines whether the trade isthe Nth consecutive trade of the same order initiation type is greaterthan or equal to the filter value for some number of consecutive buyer,seller, or unknown trades (as selected by the user), then the testcontinues to a second criterion. If not, control jumps to step 1136. Inthe second criterion test, if the trade quantity is greater than orequal to the filter quantity, or there has been a price change since theprior Universal Data Structure was received, then a new auction event isstarted, and the icon corresponding to the current trade is plotted inthe new auction.

Although step 1126 is described herein as employing two separatecriteria tests to determine the end of one auction event and thebeginning of another auction event, any number of criteria could beused, as appropriate to effect the result of grouping trades intological market events associated with factors of supply and demand.Moreover, although the filter criteria described in connection with step1126 are believed to be useful in identifying the boundaries of auctionevents, different criteria could also be used.

In step 1130, if a trade does not cause the beginning of a new auctionevent, then control jumps to step 1136, where the trade is plotted atthe first available space in the current auction event that correspondsto the price level of the trade. Thereafter, control jumps to step 1138,and if echoic sound facilities are implemented, method 1300 of FIG. 13(described earlier) is invoked, wherein an echoic representation isassigned to the trade.

If, in steps 1126 and 1128, a trade is evaluated as the beginning of anew auction event, and the criteria used is the number of sequentialtrades of the same order initiation type, then a special process isbegun to complete the previous auction event. In that case, step 1130 isexecuted and prior trades are reviewed as in step 1130 to determine ifthey should remain in the previous auction event, or should be includedat the beginning of the new auction event with the current trade. Forexample, if auction event filter criteria is set to ten consecutivetrades of the same order initiation type and the current trade is thetenth consecutive order initiated by a buyer, then the nine previoustrades that make up part of the sequence of trades that determined thebeginning of a new auction event are moved into the new auction eventalong with the current trade.

If a new auction event is started because the criteria used is a largetrade at a new higher or lower price point, then the current trade willbe the first trade of the new auction event and all prior trades remainin the preceding auction event.

In step 1132, once all trades are determined for a completed auctionevent, then statistics kept for the just completed auction event arecalculated, including total quantity traded and the high, low and volumeweighted average prices of the auction. The process 1200 of determiningtrend status values and other statistics for an auction event is shownin FIG. 12 and described further in greater detail. Totals are alsocalculated for the quantity traded during the auction event based onorders initiated by buyers and the quantity traded based on ordersinitiated by sellers. In step 1134, if the quantity traded by buyers wasgreater than the quantity traded by sellers, then the auction event iscoded with a horizontal bar (e.g. 830) of a first color (e.g., blue) atthe bottom of the TICKFLOW chart 800. If the quantity traded by sellerswas greater than the quantity traded by buyers, then the auction eventis coded with a horizontal bar of a second color (e.g. red) at thebottom of the TICKFLOW chart. At the same time, a blue or red coloredvertical bar 910 is drawn on the auction chart (see FIG. 9).

Once a trade has been evaluated and determined to be part of a newauction event, and the subsequent evaluation is made using the TrendStatus Value (TSV) score, defined further below, to determine if acompleted auction event should be included in a current or new auctionset, the trade is processed (step 1134) as part of a the new auctionevent that is indicated with a time stamp 828 and a horizontal bar 832along the bottom of the TICKFLOW chart 800 (FIG. 8).

According to a further aspect of the present invention, auction eventsmay be plotted in an auction summary chart 900 (FIG. 9) and an auctionset chart 1000 FIG. 10). The auction summary chart 900 uses a bar chartformat where every bar 910 indicates the price range of each auctionevent, and the dot 912 on the auction bar indicates the volume weightedaverage price (VWAP) determined for each auction. Once each auctionevent ends, a filter processes statistics derived from the auction eventand a score, called a Trend Status Value (TSV) 914, is calculated inaccord with method 1200 (see FIG. 12) and assigned to the auction andnoted above the box 918 drawn over the auction bar. If the TSV score ispositive, it is displayed as a number in a first color (e.g., blue) thatindicates demand is greater than supply, indicating support for anupward trend. If the TSV score is negative, it is displayed as a numberin a second color (e.g., red) that indicates supply is greater thandemand, indicating pressure for a downward trend. Higher scores indicatea stronger imbalance of supply and demand, thereby creating an upward ordownward trend in prices. A TSV score of zero (0) indicates supply anddemand is in balance and no price trend is apparent. The TSV scores arealso graphically displayed as small bars 916 at the top of the auctionsummary chart, making it easy for traders to detect the strength,direction and reversal of price change trends.

Auction events are grouped into sets based on TSV scores. Generally,auction sets are determined when sequential TSV scores assigned toauction events change from negative to positive, or from positive tonegative. Auction sets, as displayed on the auction summary chart, havelines drawn around them to form a box 918. For each auction set, avolume weighted average price (VWAP) is determined, which is indicatedas a line 920 drawn across the auction bars used in the calculation, andas also displayed on the TICKFLOW chart 814 (FIG. 8). Multiple volumeweighted average prices can be determined for one set of auctions if thetrend of an auction persists and prices change from the auction setorigination price, by more than a user specified filter amount. Thevolume weighted average price calculation is the best indicator fortraders to use when determining the price point where most of thetraining happens within an auction set.

The auction set chart 1000 (FIG. 10) summarizes sets of auction events,thereby providing a longer-term view of market trends. Traders use theauction set chart to view trading auctions that span minutes, hours,days and weeks.

FIG. 12 is a flow diagram depicting a process 1200, for use inconjunction with the system 700 of FIG. 7, for assigning trend statusvalues to auction events. In step 1210, the current auction event isevaluated to determine if the completed auction event indicates supportfor a positive, upward trend, or indicates pressure for a negative,downward trend in exchange security prices. Summary trading statisticsof market data and auctions as are used as input data for this step. Instep 1212, the auction event data is evaluated. The evaluation is basedon a process using multiple filter criteria to determine a Trend StatusValue (TSV), or score. The TSV score uses comparison logic to assign avalue of −1 to outputs which evaluate to less than a reference and avalue of 1 to outputs which evaluate to greater than a reference, andzero (0) for results which are equal to a reference, for each criteriatest applied in the filter, and then sums the individual values from thecriteria tests to equal the final TSV. All criteria are thereby givenequal weight in the final TSV score.

Positive criteria values are associated with a criteria test indicatingupward price pressure and negative criteria values are associated with acriteria test indicating downward price pressure. The highest TSV scoreis achieved when all criteria are evaluated to indicate upward pricesupport, and the lowest TSV score is achieved when all criteria areevaluated to indicate downward price pressure.

The greater the absolute value of the TSV scores the more significantthe indication is for current upward or downward price pressure, apowerful and useful tool for traders trying to anticipate tradingactivity. Because both negative and positive values are assigned, it ispossible to obtain a TSV score of zero, meaning neither positive ornegative price change is indicated and the market is currently tradingwithin a relatively tight price range with low current profitopportunity.

The following is a description of each of the criteria evaluated toassign the TSV score:

The first criteria (TSV1) tested checks whether or not more of thetrading volume within an auction event is from orders initiated frombuyers or from orders initiated from sellers. The assumption is that thelargest volume of trading is a significant factor within an auctionevent. This is true because as buyers take out sellers, or vice-versa,the inventory of bid and ask orders in the depth-of-market is affected,and the equilibrium of supply and demand may change, resulting in adirectional change in the exchange security's price.

The second and third criteria test the best bid and best ask prices inthe cash market underlying a futures market. The second criteria checksto see if the best ask price from a seller in the cash market is greaterthan the volume weighted average price (VWAP) of the futures trades inthe current auction set, which is comprised of the sequential auctionevents prior to the current auction event and having similar positive ornegative TSV trend scores. The third criteria checks to see if the bestbid price from a buyer in the cash market is also greater than the VWAPof the futures trades in the current auction set. These tests indicateif the cash market is either above or below the VWAP of recent futurestrading, as defined by the current auction set. The assumption is thatprices in the futures market are tied to prices in an underlying cashmarket, and will follow changes in such a cash market. This criteriononly makes sense when the security being traded in this process is afutures contract based on delivery of an underlying security. If this isnot the case, or no cash market pricing is available, the values forthis criteria test are set to zero.

The fourth and fifth criteria test the VWAP price derived from thevolumes and prices for the outstanding bid and ask orders in thedepth-of-market. The fourth criteria checks to see if the VWAP of theask orders from sellers is greater than the VWAP of the trades in thecurrent auction set. The fifth criteria checks to see if the VWAP of thebid orders from buyers is also greater than the VWAP of the trades inthe current auction set. These tests indicate if the depth-of-marketorders are either above or below the VWAP of recent trading, as definedby the current auction set. The assumption is that the VWAP of thecurrent auction set serves as a good benchmark price for recent trading,and if the VWAP of the bid and ask orders in the depth-of-market areabove or below the average of recent trading prices a correspondingupward or downward directional price trend is occurring.

The sixth criterion compares the VWAP prices from the current andprevious auction sets and the seventh criterion compares the VWAP pricesfrom the current and previous auction events. These tests indicate, on asequential basis, that the prices of the current auction set and thecurrent auction event are either above or below the prices of theproceeding auction set and the proceeding auction event. The assumptionis that the VWAP prices of the current and prior auction set, andcurrent and prior auction event, are directly comparable, and if thecurrent prices are above or below the prior trading prices that this isa confirmation of a corresponding upward or downward directional pricetrend.

The final eighth criterion compares the VWAP price from the currentauction event with the VWAP price of the current auction set. Similar tothe sixth and seventh criteria tests, the assumption is that if the VWAPprice of the current auction event is above or below the VWAP price ofthe current auction set, then the recent price point established by theauction event when compared to recent trading as defined by the currentauction set is another confirmation of a corresponding upward ordownward directional price trend.

In steps 1214 and 1216, once the TSV score is determined by addingtogether the values assigned by each criteria test, the auction eventTSV is compared to the TSV for the previous auction event. If thecurrent auction event TSV score is positive and the prior TSV score ispositive, or the current auction event TSV score is negative and theprior TSV score is negative, then the current auction event is acontinuation of the trend. Execution continues in step 1220, and theauction event is grouped in with the prior auction events as part ofwhat is called an auction set. Auction sets are simply groups ofconsecutive auction events that have occurred since the last change inpositive or negative direction of the TSV score.

If the TSV score of an auction event represents a reversal from theprevious TSV auction event TSV score, such as a positive TSV scorefollowed by a negative TSV score, then the current auction event TSVscore indicates the beginning of a new auction set and a change in thedirectional trend based on the TSV indicator. In that case, executioncontinues with step 1218, and a new auction set is created.

On the auction summary chart 900 (FIG. 9), auction sets are shown with abox 918 drawn around the auction events grouped into the auction set. Inthe auction set box a vertical bar (e.g., 910) is drawn for each auctionevent in sequential order from left to right and plotted from the highto the low trade price during the auction event A dot (e.g., 912) isplaced on the auction event bar at the VWAP price point calculated forthe auction event. The bar is preferably presented in a first color(such as blue), if the quantity traded initiated by buyers is greaterthan the quantity traded initiated by sellers. The bar is preferablypresented in a second color (such as red) if the quantity tradedinitiated by sellers is greater than the quantity traded initiated bybuyers.

Over the auction event bar and above the box drawn for the auction setis displayed the number 914 representing the TSV score, with a number inthe second color indicating a negative TSV score and a number in thefirst color indicating a positive TSV score. The TSV score is alsographically displayed as a bar 916 at the top of the auction summarychart with positive TSV scores drawn up and negative TSV scores drawndown from a zero TSV score axis line. One or more VWAP prices may becalculated for an auction set and displayed as a horizontal line 920drawn across the auction event bars included in the VWAP calculation.Multiple such VWAP price lines are drawn for an auction set if the pricechanges by more than a specified filter amount within the auction set.

In step 1218, when a trend reversal is detected and a new auction setstarted, the previous auction set is summarized and drawn as a singlebar 1010 on the auction set chart 1000 (see FIG. 4). A dot 1012 isplaced on the auction set bar 1010 at the VWAP price point calculatedfor the auction set.

The grouping of trades into auction events, and the related grouping ofauction events into auction sets based on the identification of TSVscores, is a powerful feature. The filtering criteria a trader canspecify are adapted to flexibly adjust to different securities anddifferent markets in order to compensate for varying levels of activityand price volatility between different markets. Once specified, thefiltering criteria help the trader identify clusters of trades andexpose the interaction of buyers and sellers as they make transactionsin an open exchange, making it easier to detect directionally biasedtrading.

By reviewing the auction event summary chart 900 (FIG. 9) a trader canquickly see the duration of a positive or negative trend by the numberof auction events displayed within an auction set, as indicated by thewidth of the boxes drawn around each auction set. If auction sets are oflonger duration, then the trends represented by the auction sets areclearly the result of directionally biased trading, either up or down.Furthermore, a trader can quickly see the magnitude of a trend by theheight of an auction set box, which represents the range of the pricechange during the trend. If the height of the auction set box,representing the price range in the auction set, is greater thanaverage, then the auction set indicates strong directionally biasedtrading.

The strength of a trend, as expressed by the width and height of auctionset boxes, is further defined by the TSV scores that a trader canquickly review along the tops of the boxes on the auction summary chart.If TSV scores are near zero, the strength of the trend is not strong,and conversely, if the TSV scores are near the maximum potential value,then strong directionally biased trading is occurring. The convenientbar chart representation of the TSV scores along the top of the auctionsummary chart clearly indicates trend strength and duration.

Equally important as identifying the strength of a price trend foranticipating future price levels is being able to note if no cleardirectionally biased trading is evident. This can be clearly seen on theauction summary chart 900 (FIG. 9) if many short auction set boxes aredrawn, or if auction set boxes are proportionately flatter than taller.This indicates either many trend reversals are occurring rapidly, orthere are minimal changes in price. Both of the proceeding scenariosoffer little opportunity to identify directionally biased price trendsthat allow a trader to increase their probability to profit from buyinglow and selling high.

The auction set chart 1000 (FIG. 10) summarizes trading activity over agreater period of time and provides another view of the frequency andmagnitude of trend reversals, and the cumulative result of the auctiontrends as represented by bars for each auction set. By examining thetime stamps along the bottom of the auction set chart, a trader canevaluate the elapsed time between auction sets and see if directionallybiased trends have significant duration. By viewing the height of theauction set bars and the VWAP price point shown by the dot on theauction set bars, a trader can determine if positive trends have agreater affect on trading prices than negative trends, or vice-versa. Byknowing which kind of directionally biased trends are strongest, atrader can discover whether upward or downward trends offer relativelygreater trading opportunities and decide if the current trend as shownby the current auction set is a good time to make a trade.

Knowing the right time to make a trade, and knowing whether to make atrade based on an upward or downward trend in a market, is essentialinformation for a trader seeking profitable trades, and why theexemplary system 700 constructed according to the present invention,based on the identification of buyer and seller order initiation andtranslated by iconic and echoic representation into the resultantembodiments described above, is a significant advance over othersystems.

As discussed earlier, a tension exists between technical and academicapproaches to trading analysis. Technical analysts observe apparentlysimilar chart patterns repeating, while academics look for exactsimilarity in time, measurement, and magnitude. Both technical andacademic analysts use the same periodic or fixed approach to samplingdata as input to studies making the results neither precise norrepeatable with any exactness. The system of the present inventionaddresses the inherent weaknesses of the arbitrary approaches used bytechnical and academic analysts by measuring and evaluating marketparticipation through the exchange auction process, and thereby focusingon the element of human participation in the exchange process that isboth repeatable in action and exact in results. By doing so the systemproduces results that are naturally self reflective of the markettrading process and 100% precise as to event timing and quality andmagnitude of price changes.

The system disclosed herein provides improved performance with respectto existing methods of listing or charting securities trading prices andvolumes, by graphically plotting symbolic icons and producing tonalsound patterns to simultaneously indicate, in addition to prices andvolumes, less obvious but equally important transaction attributes. Thesystem determines, either directly or by inference, at least thefollowing attributes of a securities trade: whether or not a trade isinitiated by a buyer or a seller; if more buyers or sellers are placingtrading orders; the relative size of trading transactions; includingwhether buyer or seller orders are larger or smaller; and if the book ofbid and ask offers is changing based on buying or selling activity, orthe depth-of-market is simply changing. With this extra information, atrader can make a better determination about the basis for transactionprices, can conclude if trading is directionally biased into an upwardor downward trend based on orders originating from buyers or sellers,and increase the probability of negotiating a better price to obtain alarger profit by assessing the bias of participants and their commitmentto the perceived price direction as supported by the observation ofvolume traded.

The system disclosed herein and constructed according to aspects of thepresent invention advantageously transforms each transaction into anindicator through the use of arrow-like iconic representations. This isan improvement over prior art systems, which generally collect a groupof transactions before indicating a result, thereby causing a delaybefore the users of such systems see some or all of the results. Such adelay is a distinct disadvantage to traders depending on the real-timedisplay of market data to visualize and interpret trends which can beused to find trading opportunities. Moreover, a display systemconstructed according to aspects of the present invention providessignificant advantages by indicating order flow from buyers and sellers,coupled with the result of grouping transactions into auction eventsbased on the transaction variables of price and quantity, instead ofelapsed time. The system disclosed herein offers users an immediate andconstant stream of market indicators presented at near-real-time speed,thereby offering a tremendous advantage, especially for professionaltraders. The detailed view presented by the system allows traders to seemany more configurations of trader behavior resulting in the exposure ofmany different types of profit taking opportunities.

An additional advantage over known systems is provided through the useof a true iconic symbol, the triangle, which indicates with the point ofthe triangle a direction, and implies the appropriate indication forbuyer and seller orders without the use of additional color-coding. Theiconic symbol conveys more than one attribute of meaning by modifyingthe presentation of the triangle symbol to be hollow, filled, andcolor-coded, thereby indicating relative transaction size. Solidtriangles indicate larger transaction sizes than hollow triangles. Thisavoids the need for the user to manually integrate data from multiplesources, displays, or locations.

Although the description herein has discussed using the presentinvention as applied to futures markets and the Chicago Board of Tradeand Chicago Mercantile exchanges, the present invention could be appliedto any other securities markets, including equity, fixed income,currency, energy, and other markets supported by electronic exchanges.

Although an exemplary embodiment of a system constructed according tothe present invention has been discussed in detail, one of skill in theart will appreciate that the exemplary embodiment could be modified toallow for iconic and/or echoic representation of transactions in anyactive marketplace where transaction information is shared between thebuyers and sellers participating in exchanges, and trading prices can becompared to a book of outstanding bid and ask orders to interpret orderinitiation. The present invention may also be applied in otherindustries with high transaction volumes such as credit, banking,insurance, government and military procurement, healthcare, travelreservations, transportation logistics, supply chain systems, retailstores, and on-line auctions and exchanges.

The above-described embodiment of the invention is merely one example ofa way in which the invention may be carried out. Other ways may also bepossible and are within the scope of the following claims defining theinvention.

1. A system for displaying securities market transaction informationreceived from a securities exchange market data system comprising: anexchange server operatively coupled to the securities exchange marketdata system and configured to receive therefrom transaction informationand order book information relating to at least one security, saidtransaction information including price and volume of at least one tradein said security and the order book information including parameters ofat least one pending order for said security; and a trader workstationoperatively coupled to said exchange server; said exchange server beingfurther configured to transmit to said trader workstation a selectableportion of said transaction information and order book informationrelating to said at least one security; said trader workstation beingconfigured to display for each trade of a user-selected security withina user-selected range of trades represented in said portion of saidtransaction information an indicium representing said price of suchtrade; said trader workstation being configured to determine using atleast both said transaction information and said order book informationwhether said trade was seller-initiated or buyer-initiated, andresponsive to said determination to control appearance of said indiciato distinguish between buyer-initiated and seller-initiated trades; andsaid trader workstation being configured to display at least a subset ofsaid order book information relating to said user-selected securityadjacent said indicia.
 2. The system of claim 1 where the traderworkstation is configured to group the trades into one or more auctionevents according to user-selectable criteria.
 3. The system of claim 2where for each of the auction events, the indicia corresponding to alltrades of the auction event are displayed adjacently.
 4. The system ofclaim 3 where the trader workstation is configured to display anindicium identifying the beginning of each auction event of which adisplayed trader is a member.
 5. The system of claim 4 where the traderworkstation is configured to compare transaction information regardingeach trade of the user-selected security to user-specified criteria andprovide a sound cue corresponding to trades satisfying the criteria. 6.The system of claim 1 where the trader workstation is configured toreceive the transaction information as part of a universal datastructure.
 7. The system of claim 6 where the universal data structurecomprises any one of price, volume, time of the at least one trade, andcombinations thereof.
 8. The system of claim 1 where the traderworkstation is configured to receive the order book information as partof a universal data structure.
 9. The system of claim 8 where theuniversal data structure comprises any one of at least one bid price anda respective quantity of units to be purchased at each of the bidprices, at least one offer price and a respective quantity of units tobe sold at each of the offer prices and combinations thereof.
 10. Thesystem of claim 1 where the trader workstation is configured to receivea universal data structure having a lowest trade price for the securityduring a current trading day, a highest trade price for the securityduring the current trading day, and a change in price since the currenttrading day began, for the at least one security.
 11. A method fordisplaying securities market transaction information received from asecurities exchange market data system comprising: receiving transactioninformation and order book information relating to at least one securityat a trading device, the transaction information including price andvolume of a trade for the at least one security, the order bookinformation including parameters for at least one pending order for theat least one security, including a quantity for the at least one pendingorder; identifying a selectable portion of the transaction informationand order book information relating to the at least one security via thetrading device; displaying for each trade of a user-selected securitywithin a user-selected range of trades represented in the selectableportion of transaction information, an indicium representing said priceof such trade via an output device associated with the trading device;determining via the trading device, whether the trade wasseller-initiated or buyer-initiated using the transaction informationand the order book information including the quantity of the at leastone pending order; in response to determining whether the trade wasseller-initiated or buyer-initiated, distinguishing betweenbuyer-initiated and seller-initiated trades using the displayed indiciumvia the trading device; and displaying at least a subset of the orderbook information relating to the user-selected security adjacent theindicia via the output device.
 12. The method of claim 11 where the atleast one security comprises a futures product.
 13. The method of claim11 where the trader workstation is configured to group the trades intoone or more auction events according to user-selectable criteria, andwhere for each of the auction events, the indicia corresponding to alltrades of the auction event are displayed adjacently.
 14. The method ofclaim 13 where the trader workstation is configured to display anindicium identifying the beginning of each auction event of which adisplayed trader is a member.
 15. The method of claim 14 where thetrader workstation is configured to compare transaction informationregarding each trade of the user-selected security to user-specifiedcriteria and provide a sound cue corresponding to trades satisfying thecriteria.
 16. The method of claim 12 further comprising displaying thetrades in a two-dimensional chart having a first axis representing tradeprice and a second axis being substantially perpendicular to the firstaxis and representing time.
 17. The method of claim 12, furthercomprising determining a trend status value that describes the trades,the trend status value being responsive to whether volume of the tradesdetermined to be seller-initiated exceeds volume of the tradesdetermined to be buyer-initiated.
 18. A computer-readable medium havingcomputer readable code stored thereon for execution by a processor whichwhen executed by the processor causes the processor to perform the stepscomprising: receiving transaction information and order book informationrelating to at least one security, the transaction information includingprice and volume of at least one trade in said security, the order bookinformation including parameters for at least one pending order for theat least one security; receiving an identifier of a selectable portionof the transaction information and order book information relating tothe at least one security; displaying for each trade of a user-selectedsecurity within a user-selected range of trades represented in theselectable portion of transaction information an indicium representingthe price of such trade; determining whether the trade wasseller-initiated or buyer-initiated, using at least both the transactioninformation and the order book information; controlling appearance ofthe indicia to distinguish between buyer-initiated and seller-initiatedtrades according whether the trade was seller-initiated orbuyer-initiated; and displaying at least a subset of the order bookinformation relating to the user-selected security adjacent the indicia.19. The computer-readable medium of claim 18 comprising a moduleconfigured to group trades into at least one auction event in responseto user-selectable criteria.
 20. The computer-readable medium of claim19 comprising a module configured to compare transaction informationregarding each trade of the user-selected security to user-specifiedcriteria and provide a sound cue corresponding to trades satisfying thecriteria.